As a workaround you can validate the action manually by canceling the On:

• With window.confirm():
  

  <script>
     function clientClicking(sender, args) {
          args.set_cancel(!window.confirm("Sure?"));
      }
  </script>
  
  <telerik:RadToggleButton ID="RadToggleButton1" runat="server" Text="RadToggleButton" OnClientClicking="clientClicking">
      <ToggleStates>
          <telerik:ButtonToggleState Text="state1">
              <Icon Url="supervisorIcon.png" />
          </telerik:ButtonToggleState>
          <telerik:ButtonToggleState Text="state2">
              <Icon Url="ownerIcon.jfif" />
          </telerik:ButtonToggleState>
      </ToggleStates>
  </telerik:RadToggleButton>

• With radconfirm():
  

  <script>
      var preventCommand = true;
      var button;
  
      function clientClicking(sender, args) {
          button = sender;
          if (preventCommand) {
              args.set_cancel(preventCommand);
              radconfirm("Sure?", confirmCallBackFn, 300, 200, null, "Confirm");
          }
      }
  
      function confirmCallBackFn(arg) {
          if (arg) {
              preventCommand = false;
              button.click();
          }
      }
  </script>
  
  <telerik:RadWindowManager runat="server" ID="RadWindowManager"></telerik:RadWindowManager>
  
  <telerik:RadToggleButton ID="RadToggleButton1" runat="server" Text="RadToggleButton" OnClientClicking="clientClicking">
      <ToggleStates>
          <telerik:ButtonToggleState Text="state1">
              <Icon Url="supervisorIcon.png" />
          </telerik:ButtonToggleState>
          <telerik:ButtonToggleState Text="state2">
              <Icon Url="ownerIcon.jfif" />
          </telerik:ButtonToggleState>
      </ToggleStates>
  </telerik:RadToggleButton>